In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors’ knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently.This contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions as well as extreme spiky behavior. We aim to understand how technologies, concentration and congestionsaffect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Implementing Reg–ARFIMA–GARCH models, we draw policy indications based on the empirical evidence that technologies,concentration and congestions do affect Italian electricity prices.

Fractional Integration Models for Italian electricity zonal prices

GIANFREDA, Angelica;GROSSI, Luigi
2010-01-01

Abstract

In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors’ knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently.This contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions as well as extreme spiky behavior. We aim to understand how technologies, concentration and congestionsaffect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Implementing Reg–ARFIMA–GARCH models, we draw policy indications based on the empirical evidence that technologies,concentration and congestions do affect Italian electricity prices.
9788861295667
Congestions; Electricity Prices; Long Memory; Market power; Statistical analysis of financial data
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/342268
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